Asymptotic Results for Spectrally Positive Compound Poisson Processes
Abstract
Finite excursions away from zero of a spectrally positive compound Poisson process with a negative drift can always be decomposed into two parts lying above and below zero, respectively. This paper is concerned with the asymptotic relationships among the lengths and heights of these two parts. Our results state that both their lengths and heights are asymptotically strongly dependent and exhibit a scale symmetry.
0
Turn this paper into a full lesson
ArcXiv compiles a staged curriculum from this paper: 8-12 lessons across beginner → advanced, synthesised section guides, visuals, flashcards, a quiz, exercises, and on-demand deep dives per section. Grounded in the abstract, never invented.